MoneyScience News |
- Vendor News: Fidessa unveils new low-latency DMA platform
- Published / Preprint: Optimal financing and dividend distribution in a general diffusion model with regime switching. (arXiv:1506.08360v1 [math.OC])
- Published / Preprint: Optimal Equity Glidepaths in Retirement. (arXiv:1506.08400v1 [q-fin.GN])
- Published / Preprint: Central Clearing Valuation Adjustment. (arXiv:1506.08595v1 [q-fin.RM])
- Published / Preprint: Portfolio optimization using local linear regression ensembles in RapidMiner. (arXiv:1506.08690v1 [q-fin.PM])
- Published / Preprint: Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations. (arXiv:1506.08692v1 [physics.data-an])
- Published / Preprint: Extension and calibration of a Hawkes-based optimal execution model. (arXiv:1506.08740v1 [q-fin.TR])
- Published / Preprint: Note on tax enforcement and transfer pricing manipulation. (arXiv:1506.08743v1 [q-fin.EC])
- Vendor News: June 29, 2015 - SS&C Increases Offering Size and Prices $600 Million 5.875% Senior Notes due 2023
- Vendor News: Infosys Finacle launches first-of-its-kind financial and business management solution for small and medium enterprise customers of banks
| Vendor News: Fidessa unveils new low-latency DMA platform Posted: 30 Jun 2015 01:06 AM PDT |
| Posted: 29 Jun 2015 05:41 PM PDT We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injections and dividend payments incur expenses. The objective is to... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Optimal Equity Glidepaths in Retirement. (arXiv:1506.08400v1 [q-fin.GN]) Posted: 29 Jun 2015 05:41 PM PDT Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they will not change. In practice, new static glidepaths may be derived periodically making them more flexible. The optimal static retirement glidepath would be the... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Central Clearing Valuation Adjustment. (arXiv:1506.08595v1 [q-fin.RM]) Posted: 29 Jun 2015 05:41 PM PDT We develop an XVA analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. A dynamic framework incorporates the sequence of the cash-flows involved in the waterfall of resources of the CCP. The total cost of the clearance framework for a member of the clearinghouse, called CCVA for central clearing valuation adjustment,... Visit MoneyScience for the Complete Article. |
| Posted: 29 Jun 2015 05:41 PM PDT In this paper we implement a Local Linear Regression Ensemble Committee (LOLREC) to predict 1-day-ahead returns of 453 assets form the S&P500. The estimates and the historical returns of the committees are used to compute the weights of the portfolio from the 453 stock. The proposed method outperforms benchmark portfolio selection strategies that optimize the growth rate of the capital. We... Visit MoneyScience for the Complete Article. |
| Posted: 29 Jun 2015 05:41 PM PDT The detrended cross-correlation coefficient $\rho_{\rm DCCA}$ has recently been proposed to quantify the strength of cross-correlations on different temporal scales in bivariate, non-stationary time series. It is based on the detrended cross-correlation and detrended fluctuation analyses (DCCA and DFA, respectively) and can be viewed as an analogue of the Pearson coefficient in the case... Visit MoneyScience for the Complete Article. |
| Posted: 29 Jun 2015 05:41 PM PDT We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator exhibits a smoothly decaying form with one or two dominant time scales, but only so after a few seconds that the market needs to adjust after... Visit MoneyScience for the Complete Article. |
| Posted: 29 Jun 2015 05:41 PM PDT This note proposes the segregation of independent endogenous and exogenous components of tax penalty probability to introduce a formal demonstration that enforcement and tax penalties are negatively related with income shifting. JEL F23; H26. Visit MoneyScience for the Complete Article. |
| Posted: 29 Jun 2015 01:36 PM PDT |
| Posted: 29 Jun 2015 02:36 AM PDT Infosys announced the launch of the Finacle SME Enable to help banks enhance support and service for their small and medium business enterprise (SME) customers. Visit MoneyScience for the Complete Article. |
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